Mean-VaR portfolio optimization: A nonparametric approach

•Present a new MOEA for complex portfolio optimization.•Six real-world trading constraints are considered.•Computational experiments are performed by using real market data.•Results show the effectiveness of the learning mechanism.•Proposed method yield improved performance relative to existing meth...

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Vydané v:	European journal of operational research Ročník 260; číslo 2; s. 751 - 766
Hlavní autori:	Lwin, Khin T., Qu, Rong, MacCarthy, Bart L.
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier B.V 16.07.2017
Predmet:	Evolutionary computations Multi-objective constrained portfolio optimization Nonparametric historical simulation Value at risk Evolutionary computations Value at risk Multi-objective constrained portfolio optimization Nonparametric historical simulation
ISSN:	0377-2217, 1872-6860
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